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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …
Persistent link: https://www.econbiz.de/10013183936
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
attractive attracted under risk conditions. …
Persistent link: https://www.econbiz.de/10014246136
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Beating the market with small portfolios : evidence from Brazil
Santos, André A. P. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 22-31
attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this … few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the … monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with …
Persistent link: https://www.econbiz.de/10011865381
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Drawdown risk in mutual funds performance
Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …
Persistent link: https://www.econbiz.de/10009746020
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Asset Management and Industry Index Portfolios : Momentum and Reversal Abnormal Returns
Toscano, Mario - 2009
This paper shed light to the existence of momentum and reversal patterns in the 18 industry indexes of DJ Euro Stoxx. The analysis is focus on European market and test a presence structural break in year 2000 (financial services and markets act). We made an analysis of five portfolios over eight...
Persistent link: https://www.econbiz.de/10013153008
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Do Style Momentum Strategies Produce Abnormal Returns : Evidence from Index Investing
Liu, Zugang - 2019
In this study, we investigate the return enhancement ability of style momentum strategy: a strategy that switches between value and growth styles based on previous performance. We explore the variation in abnormal returns of long-only and long-short momentum strategies using various style based...
Persistent link: https://www.econbiz.de/10012898292
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The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors
Ederington, Louis H. - 2010
To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …
Persistent link: https://www.econbiz.de/10013146812
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The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors
Ederington, Louis H. - 2010
To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …
Persistent link: https://www.econbiz.de/10013146813
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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
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Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market
Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12
from the past 3 months show positive average monthly returns. However, after adjusting for the risk of these strategies …
Persistent link: https://www.econbiz.de/10009741262